固定收益周报：股债跷跷板环境下转债维持偏高估值-20250706

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - In the environment of the stock - bond seesaw, convertible bonds maintain a relatively high valuation. Although the overall valuation premium has been compressed last week, some industries actively increased their valuations, and there were even cases where the underlying stocks fell while the convertible bonds rose. Currently, the cost - effectiveness of convertible bonds is limited, with the median price of the entire convertible bond market rising to 124 yuan and the valuation remaining at a relatively high level, narrowing the space for bond selection [2]. - Next week may be an important time point for the end of the current round of capital idling. It is necessary to focus on whether the stock - bond cost - effectiveness can return to favoring bonds. At the current level, long - term bonds have a slightly better cost - effectiveness than value - style equity assets. If the value - style equity assets continue to decline, a good entry window may appear [3]. - The latest convertible bond portfolio has a zero position in equity - style convertible bonds and is fully allocated to value - style double - low and low - price convertible bonds (bond - like assets), with a total position of 70%. Among them, value - style low - price convertible bonds have a long remaining time and the expectation of downward adjustment, and the liquidity brought by the delisting of bank convertible bonds should be gradually deployed at low levels. Value - style double - low convertible bonds currently have dual advantages in terms of underlying stocks and convertible bonds [4]. Summary by Related Catalogs Stock - Bond and Convertible Bond Market Review - Last week, the theme of the equity market rotated rapidly. Affected by overseas news and capital market fluctuations, the stock - bond seesaw was obvious. On Monday, the stock index rose collectively, with military, stablecoin concept, brain - computer interface, and semiconductor leading the gains. The bond market adjusted comprehensively, with bearish sentiment prevailing. On Tuesday, after the cross - quarter, the capital market eased, the bond market strengthened, and the stock market fluctuated and adjusted. On Friday, the US June non - farm payrolls far exceeded expectations, reducing the probability of the Fed cutting interest rates in July and September. The cross - border payment, bank, game, power, steel, and innovative drug sectors led the gains, and the bond market oscillated strongly without a clear trading theme [1]. Convertible Bond Market Analysis - Valuation: Currently, convertible bonds still maintain a relatively high valuation compared to the underlying stocks. Last week, the overall valuation premium was compressed, but some industries actively increased their valuations. The median price of the entire convertible bond market rose to 124 yuan, and the valuation remained at a relatively high level. The space for bond selection has narrowed, and the proportion of inert convertible bonds with pending valuation adjustment is the largest. The median conversion premium rate decreased slightly to 28.9% (historical quantile of 58%), the implied volatility remained at around 30% (historical quantile of 65%), and the median implied volatility difference remained at around - 15% (historical quantile of 36%) [2]. - Market sentiment: Last week, the average daily trading volume of the entire convertible bond market was 60.2 billion yuan, a 7% increase from the previous week. The trading of traditional speculative bonds such as newly issued bonds, low - rated convertible bonds, and double - high convertible bonds remained sluggish. In the volatile stock - bond market environment, the market tends to trade varieties with stronger option elasticity, such as small - cap stocks and newly issued AAA - rated convertible bonds, whose valuations are suppressed [2]. Market Outlook and Strategy Recommendations - Market outlook: Next week may be an important time point for the end of the current round of capital idling. It is necessary to focus on whether the stock - bond cost - effectiveness can return to favoring bonds. At the current level, long - term bonds have a slightly better cost - effectiveness than value - style equity assets. If the value - style equity assets continue to decline, a good entry window may appear [3]. - Strategy recommendations: The top - down broad - based portfolio view is an 80% position in equity value - style assets and a 20% position in 30 - year treasury bond ETFs. The latest convertible bond portfolio has a zero position in equity - style convertible bonds and is fully allocated to value - style double - low and low - price convertible bonds (bond - like assets), with a total position of 70%. The convertible bond broad - based portfolio underperformed the CSI Convertible Bond Index by 0.42 percentage points last week. Since its establishment in July 2024, it has outperformed the CSI Convertible Bond Index by 15.5 percentage points, with a maximum drawdown of 7.7% (compared to 7.5% for the CSI Convertible Bond Index during the same period) [4].